Information Consumption and Price Informativeness: The Link Between Behavior and Price Discovery

Sammanfattning: As technologies to share and consume information become more efficient and the information available to investors grow exponentially, the relationship between information consumption and price discovery becomes increasingly important to understand. We study the relationship between information consumption and price informativeness. In particular, our paper seeks to investigate abnormal institutional attention and its relation to price non-synchronicity. We find that abnormal institutional attention affects price non-synchronicity positively. This effect is persistent over at least a week of trading. We also show that our results are robust to other proxies of price informativeness, as well as a placebo test. We find no economically significant effect on price non-synchronicity by retail investors. These findings are consistent with previous literature, while also pointing out the importance of considering investor behavior when studying price informativeness.